2020 Universal registration document and annual financial report - BNP PARIBAS374
5 risks and CaPital adequaCy Pillar 3
5
Credit risk
In millions of euros PD range
31 December 2019
Balance sheet
exposure
Off- balance
sheet exposure
Total exposure
Average off-
balance sheet
CCF EAD Average
PD Average
LGD
Average residual maturity RWAs(*)
Average RW(*)
Expec- ted
Loss(**) Provi-
sions(**)
Mortgages 0.00 to < 0.15% 71,905 3,480 75,385 100% 75,392 0.06% 12% 5 1,575 2% 6
0.15 to < 0.25% 17,011 737 17,748 99% 17,751 0.18% 13% 5 1,788 10% 4
0.25 to < 0.50% 37,090 1,250 38,340 97% 38,330 0.35% 16% 5 4,098 11% 21
0.50 to < 0.75% 14,094 756 14,850 74% 14,673 0.64% 15% 5 5,823 40% 15
0.75 to < 2.50% 15,718 926 16,644 83% 16,510 1.47% 15% 5 5,009 30% 37
2.50 to < 10.0% 7,914 369 8,283 68% 8,183 4.84% 17% 5 4,819 59% 66
10.0 to < 100% 2,841 58 2,899 81% 2,890 22.07% 16% 5 2,847 99% 101
100% (default) 3,591 18 3,608 66% 3,604 100.00% 4 1,650 46% 1,067
SUB-TOTAL 170,163 7,594 177,757 93% 177,333 2.92% 14% 5 27,609 16% 1,318 (1,278)
Revolving exposures
0.00 to < 0.15% 170 6,715 6,885 90% 6,449 0.08% 65% 1 79 1% 3
0.15 to < 0.25% 59 383 442 78% 387 0.18% 75% 1 53 14% 1
0.25 to < 0.50% 151 1,563 1,714 60% 1,142 0.33% 64% 1 101 9% 2
0.50 to < 0.75% 173 782 955 49% 580 0.61% 65% 1 148 26% 2
0.75 to < 2.50% 1,128 1,965 3,093 47% 2,073 1.46% 55% 1 890 43% 16
2.50 to < 10.0% 1,661 881 2,542 64% 2,241 5.34% 53% 1 1,362 61% 63
10.0 to < 100% 942 206 1,148 69% 1,098 24.38% 54% 1 761 69% 146
100% (default) 1,024 36 1,059 72% 1,051 100.00% 1 348 33% 764
SUB-TOTAL 5,308 12,532 17,839 74% 15,022 9.86% 61% 1 3,742 25% 998 (1,028)
Other exposures 0.00 to < 0.15% 9,927 2,805 12,732 85% 12,446 0.07% 41% 3 967 8% 4
0.15 to < 0.25% 2,845 969 3,814 87% 3,799 0.20% 39% 3 648 17% 3
0.25 to < 0.50% 12,098 2,568 14,666 91% 14,632 0.34% 37% 3 3,378 23% 18
0.50 to < 0.75% 7,334 1,871 9,205 64% 8,655 0.64% 37% 3 3,755 43% 21
0.75 to < 2.50% 14,070 3,306 17,377 88% 17,149 1.46% 37% 2 8,636 50% 92
2.50 to < 10.0% 10,090 1,371 11,462 86% 11,462 4.72% 37% 2 6,772 59% 201
10.0 to < 100% 3,559 160 3,719 100% 3,771 25.75% 37% 2 2,716 72% 372
100% (default) 4,812 109 4,921 88% 4,924 100.00% 2 2,377 48% 3,086
SUB-TOTAL 64,736 13,160 77,897 84% 76,838 8.86% 38% 3 29,248 38% 3,796 (3,889)
TOTAL 240,207 33,286 273,493 82% 269,194 5.01% 23% 4 60,599 23% 6,112 (6,195)
(*) Add-on included. (**) The expected losses and provisions are not directly comparable data: the expected one-year losses are statistical estimates through the cycle (TTC) whilst
the provisions for credit risk are calculated according to the IFRS 9 standard as explained in note 1.e.5 to the financial statements.
Most of the mortgage exposures concern French Retail Banking, Belgian Retail Banking and Luxembourg Retail Banking. Mortgages are issued according to strict and well-defined procedures. Average probability of default on retail clients non-defaulted loans is 1.39%. The low average Loss Given Default level reflects the guarantees put in place when the mortgages were granted. Since 2013, all credit institutions have
implemented an add-on for risk-weighted assets on the Belgian mortgage portfolio at the supervisor s request.
Most of the Revolving exposures and Other exposures relate to consumer loans subsidiaries that have a wider range of customers in terms of credit quality and a lower level of guarantees. In 2020, these exposures decreased in particular due to portfolio disposals.
